SuperMontage - any ideas/suggestions?

Discussion in 'Trading' started by vladiator, Aug 4, 2002.

  1. Hi guys,
    I'm starting to collect level II data (about once every 5 minutes for MSFT), and plan to econometrically compare the regimes prior to SuperMontage and post it's implementation - looking for evidence of changes in liquidity/costs, MM tactics etc.
    Since about 99% of you have traded more than me, I thought I'd ask you for the things you personally would want to have examined. Once I have the data (I assume I'll be able to spot the changes based on Level II posts and the time-stamped trades either from Bloomberg or NYSE TAQ), I'll be more than happy to share the results. If I find something interesting, I plan to have it published in an academic journal, but I'll sure post here any preliminary results as soon as I get them.
    By the way, I tried searching the web for any indication of how soon they plan to have the new system fully functioning but couldn't find anything except for some tentative dates for phases 1, 2 etc. Realistically speaking, are they gonna have it up and running this year or by the end of next one?
    Thanks in advance for any suggestions and happy trading next week.